原油100美元和美元指数100背景下的大类资产反馈：“100+100”情绪分水岭效应

Report Information - Report Title: "100+100" Emotional Watershed Effect - Feedback of Major Asset Classes under the Background of $100 Oil Price and US Dollar Index of 100 [1] - Research Institute: Guotai Junan Futures Research Institute - Date: March 16, 2026 1. War in the Third Week Scenario Deduction and Current Situation - The situation in Iran has evolved into a long - lasting conflict with increasing intensity and duration beyond expectations [2][5] - The current situation shows that Iran's strikes on surrounding areas have slowed down, and it highly relies on drones in the past 48 hours [8] - The passage volume of the Strait of Hormuz is still extremely low, and more than half of the US population does not support the war against Iran [12] Impact on Crude Oil and Energy Market - The Strait of Hormuz is in a state of substantial blockade, and the blockade time may exceed expectations, leading to a substantial supply gap in the international energy and chemical industry chain [16] - Crude oil price is the core factor affecting the short - term direction of the macro - logic and major asset classes. The probability of a cease - fire in March on Polymarket has dropped to 16%, and in April to 45% [16][17] - Based on the impact of oil transportation supply loss in the Strait of Hormuz on oil prices, each additional day of blockade may increase the crude oil price by $0.5 - 1.0 per barrel [17] Geopolitical Premium in Crude Oil Price - Starting from the beginning of 2022, the geopolitical premium in the peak stage of oil price was $28 - 30. As of March 12, 2026, the geopolitical premium in the current oil price is $23 [18][20][22] 2. Crude Oil - Inflation Conduction Impact of Crude Oil Price Increase on CPI - According to BECO Models Drivers, if crude oil rises by $10, CPI year - on - year will rise by 0.15% in Q1 and 0.2% in Q2 - Q4; if it rises by $20, CPI year - on - year will rise by 0.3% in Q1 and 0.4% in Q2 - Q4; if it rises by $30, CPI year - on - year will rise by more than 0.4% in Q1 and close to 0.6% in Q2 - Q4; if it rises by $50, CPI year - on - year will rise by 0.7% in Q1 (to 2.9%) and close to 0.95 - 1.0% in Q2 - Q4 (to 3.25%) [23][25][27] Regression Analysis of Brent Crude Oil and CPI - The regression analysis of Brent crude oil year - on - year and US CPI year - on - year shows that US CPI year - on - year = 0.0194×crude oil year - on - year + 4.3188, with R² = 0.17, and crude oil price changes explain about 17% of CPI changes [34] Impact of $100/Barrel Oil Price on Inflation Expectations - The current 10 - year inflation expectation is 2.35%, lower than the theoretical value of 2.55%. If crude oil exceeds $100, the 10 - year inflation expectation is more likely to fluctuate abnormally upwards [35][38] - The current 2 - year inflation expectation is 3.14%, relatively balanced with the oil price. But if the oil price is above $100, the 2 - year inflation expectation is often significantly higher than the linear regression level [40][43] 3. "Stagflation" Environment Risks Demand and Production Situation - Demand has slowed down, but the production side remains strong. The manufacturing PMI shows a healthy structure, with new orders leading the index, and the new order - to - inventory ratio is still at a high level, with a slight monthly decline [50] - The US inflation surprise index has risen, while the economic growth index has stagnated. The "hard data" surprise index has declined faster, and demand - related sectors such as the employment market and retail and wholesale are relatively weak [52] "Inverse - Cycle" Inflation Paradigm - The Russia - Ukraine conflict in 2022 marked the transition of the US from demand - driven inflation in 2021 to cost - driven inflation in 2022. Currently, the negative correlation between crude oil price and the equity market is being replicated [57][59] - In the "inverse - cycle inflation" environment, the 60 - 40 stock - bond allocation effect is poor, the defense/ cycle ratio rises, and the gold/silver ratio rises [57] 4. "100 - 100" Emotional Critical Point Impact of US Dollar Index Reaching 100 - When the US dollar index reaches 100, it is close to breaking through the narrow - range fluctuation range formed since mid - 2025. If the upward breakthrough is confirmed, especially when the crude oil price continues to rise, the upward space of the US dollar index may further open [60][62] - The current long positions of the US dollar are not crowded, which may provide room for further rebound of the US dollar. Attention should be paid to the possibility of the US dollar index rising to the 104.5 - 105 range if it stabilizes in the 100 - 101 range and the oil price and Middle East issues do not ease significantly [62] Role of RMB in the Context of Geopolitical Tensions - If the US dollar continues to strengthen, the RMB may still show resilience. The RMB has shown a relatively strong trend due to factors such as China's economic resilience, stable capital market, and a stable political and economic environment [65] - The discussion of partial replacement of the petrodollar by the petro - RMB has resurfaced. Allowing a small number of oil tankers to settle in RMB through the Strait of Hormuz would promote the globalization process of the RMB [65] 5. US Treasury Market Strategy Inflation and VaR Risk Impact - Compared with 2022, the transmission of inflation expectations and MOVE index to the US Treasury market in 2026 is relatively restrained, but the near - end inflation expectation rebound has pushed the US Treasury yield curve to flatten [66][71] - The 10 - year inflation expectation has not risen rapidly with the oil price. There is a risk that the inflation expectation may catch up with the oil price in the future, and the US Treasury yield upward strategy is recommended [71] Performance of Anti - inflation Assets - Under the impact of geopolitics and oil prices, US inflation - protected bonds (TIPS) have performed poorly, and ultra - short - term bonds have outperformed ultra - long - term bonds, showing a "cash is king" characteristic [74][75] - Gold's performance is weaker than expected due to high volatility, and the allocation time of gold still needs to wait for the decline of relative valuation or volatility [74][75] 6. Equity Allocation Strategy Current Situation of the US Stock Market - The US stock market maintains a narrow - range shock, and the volatility increase is relatively restrained. The Put/Call Skew ratio shows a strong willingness to protect with deep - out - of - the - money options, while the Open Interest Ratio shows limited overall bearish sentiment [76][77] Fundamental Analysis of the US Stock Market - The forward 12 - month EPS and revenue year - on - year growth rates of the S&P and Nasdaq are still on the rise, indicating a relatively healthy fundamental situation, which may limit the decline space and trigger the "Buy the dip" sentiment [78][82] Impact of Oil Price on the Equity Market - The rise in oil price has a rapid impact on the valuation of the equity market. After the transition from demand - driven inflation in 2021 to cost - driven inflation in 2022, the profit margin of US stocks has declined [83] Allocation Themes and Scenarios - In the long - term, the "HALO" configuration theme may be strengthened. Geopolitical factors will enhance the expression of the HALO style, and attention should be paid to capital - intensive and heavy - asset upstream sectors of AI physical infrastructure [90] - Three scenarios are assumed for the equity market: in the "quick victory" scenario, the growth style will have stronger elasticity in the short - term; in the "protracted war" scenario, the global equity market will be highly volatile, and energy/coal chemical industries have hedging properties; in the "full - scale regional war" scenario, the equity market will face systemic downward risks [93]